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Building a Futures Market Making Bot - Winning the UChicago Trading Competition, Part 1 - Tianyi (Austin) Liu's Blog

tianyi.io · 1,879 words · saved by 1 readers

How we built a customizable trading bot and won the Futures Market Making (MM) case.

Back in April, I participated in the UChicago Midwest Trading Competition with a couple of friends, and we ended up winning 2 out of 3 cases and the overall competition. So I've procrastinated on writing this blog post for 3 months, but I needed to get this out before I start working at a trading firm in a few weeks. This is the first part in (hopefully) a series of my favorite trading cases. First, let me take you through how we tackled one of my favorite cases, building a futures market making bot on the Chicago Electricity Futures Market. The Case You are a market maker on the Chicago Elect

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